hidden Ito semimartingales, and discuss how to measure liquidity risk using high frequency financial data. In particular, we … investigate the impact of non-stationary microstructure noise on some volatility estimators, and design three complementary tests … by exploiting edge effects, information aggregation of local estimates and high-frequency asymptotic approximation. The …

This paper provides a data-driven analysis of the volatility risk premium, using tools from high-frequency finance and … Big Data analytics. We argue that the volatility risk premium, loosely defined as the difference between realized and … implied volatility, can best be understood when viewed as a systematically priced bias. We first use ultra …

Previous studies find as the VIX goes up, the return and the Sharpe ratio on liquidity provision increase. We argue … for providing liquidity, (2) when assets are volatile, liquidity shocks create stronger trading demands and thus liquidity … demanders pay a higher premium, and (3) when assets are highly correlated, the higher risk of spillover of liquidity shocks …

market liquidity and/or increase market volatility for the related primary asset. The thesis builds a cross-country database …This thesis investigates the effects of the introduction of new financial derivative products on exchange volatility …, efficiency and liquidity. The derivatives under primary investigation are Exchange Traded Funds (ETFs) and Contracts for …

-scale analysis of financial data. We define an information theoretic measurement termed Liquidity that characterises the unlikeliness … show empirical examples within the Foreign Exchange market where the new measure not only quantifies liquidity but also …

liquidity provision and the negative relation between market volatility and stock returns arises not only from greater risk … stock's return is more sensitive to unexpected changes in market volatility when its liquidity disappears more in response … to volatility shocks, which indicates that liquidity providers play an important role in determining the effect of market …